u can make  .jar file  & call .jar file in a bat file this is one way.
it's working like a exe  file.
try it

I know how to make  jar but then i only made it
for Java Applets. How do I run  jar in a bat for Java
Application. I mean I am not asking for the whole
procedure just let me know whether its the same way as
for WebBrowser Applets

you have to create a .bat (windows)
like this;

start javaw myApp
exit

Also When I do that in a bat file, i get JVM errror
cannot find main class

Ok forget it, it was class path fault. I got it
working

Will this work  on any computer I mean on those that
only hava JVM?

You can also use 3rd party programs which creates an executable
For java. Search through the internet you can find it
Eg: exe4j
And lots of others..

You can also send the entire standard java  packages
with the game  if you give it to your friend on a CD.
He doesn't have to install java as long as you have
the classpaths right to the intended packages (the
standard packages you may distribute legally this way
as long as you don't make  any changes to them), and he
won't notice a thing. Of course include the JVM as
well.